Search Results - subject:"Conditional Volatility"

Intraday Seasonalities and Macroeconomic News Announcements

Harju, Kari; Hussain, Mujahid - Hanken Svenska Handelshögskolan - 2006

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market...

Persistent link: https://www.econbiz.de/10005839382

Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations

Hoti, Suhejla; McAleer, Michael; Chan, Felix - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 1, pp. 46-56

Atmospheric carbon dioxide concentrations (ACDC) are critical to the global temperature control system and climate change, with ACDC levels having increased rapidly since the start of the industrial revolution in the late 1700s, and the climate having become quite unstable with significant...

Persistent link: https://www.econbiz.de/10010870018

An empirical comparison of the performance of alternative option pricing models

Ferreira, Eva; Gago, Mónica; León, Angel; Rubio, Gonzalo - In: Investigaciones Economicas 29 (2005) 3, pp. 483-523

This paper presents a comparison of alternative option pricing models based either on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously defined explanatory variables or a model in which discrete-based observations...

Persistent link: https://www.econbiz.de/10005813665

El precio del riesgo tras la entrada del euro/Risk Price after Euro’s Introduction.

SANTANA JIMÉNEZ, YOLANDA; RODRÍGUEZ, PÉREZ; VICENTE, … - In: Estudios de Economía Aplicada 23 (2005) Abril, pp. 187-206

separated into two components which vary through time: the price of risk and the conditional volatility. Daily frequency data …

Persistent link: https://www.econbiz.de/10005737022

Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility

Une, Maurício Yoshinori; Portugal, Marcelo Savino - EconWPA - 2005

In the literature, little role is attributed to the country risk conditional volatility in the determination of the … Brazilian country risk conditional volatility, with special emphasis on Markov switching regimes. Results indicate that the high … Brazil from May 1994 through September 2002. Thus, although not free of limitations, the country risk’s high conditional …

Persistent link: https://www.econbiz.de/10005556329

An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models

Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat - In: Frontiers in Finance and Economics 1 (2004) 2, pp. 101-115

Persistent link: https://www.econbiz.de/10004998288

Basis variations and regime shifts in the oil futures market

Fong, Wai Mun; See, Kim Hock - In: The European Journal of Finance 9 (2003) 5, pp. 499-513

The conditional volatility of crude oil futures returns is modelled as a regime switching process. The model features …

Persistent link: https://www.econbiz.de/10005471951

Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

Christoffersen, Peter F.; Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2003

We consider three sets of phenomena that feature prominently - and separately - in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset...

Persistent link: https://www.econbiz.de/10005020646

Stochastic Threshold Models on Interest Rate

Li, Huirong; Yang, Jian - 1998

Threshold models have been found useful in modeling nonlinearities in many financial time series. In this framework, the financial variable of interest evolves according to different dynamics, which is solely determined by the threshold regimes that the observed indicator variable falls into....

Persistent link: https://www.econbiz.de/10009447226

Stochastic Threshold Models on Interest Rate

Li, Huirong; Yang, Jian - University of Western Ontario, Department of Economics - 1998

Persistent link: https://www.econbiz.de/10005515533